Hi Dynare team

I am trying to estimate a nonlinear model in Dynare with a mix of filtered and unfiltered data. I read Johannes’ excellent guide of specifying observation equations, and I just wanted to clarify that I’ve specified the equations correctly.

I have the following data:

R_{t}^{obs} : gross nominal interest rate (quarterly) (unfiltered)

\Pi_{t}^{obs} : gross nominal inflation rate (quarterly) (unfiltered)

e_{t}^{obs} : log differences of the real exchange rate (demeaned)

r_{t}^{k,obs} : net rate of return on capital (quarterly) (unfiltered)

Currently, in my Dynare code I have the following observation equations:

```
R_obs = R;
Pi_obs = Pi;
e_obs = e - steady_state(e);
rk_obs = rk + log(Rk_bar);
```

Where R, \Pi, and e are entered in the other model equations using exp() transformations, and where rk is left as-is.

I am a bit unsure if I have specified the return on capital observation equation correctly. The way it is now, I would have to use Dynare to estimate Rk_bar, as rk is basically – using common notation – “rk_hat”.